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常规和非常规货币政策对汇率的影响
THE EFFECTS OF CONVENTIONAL AND UNCONVENTIONAL MONETARYPOLICY ON EXCHANGE RATES
作者：
井上淳(Insue Inoue)
芭芭拉·罗西（Barbara Rossi）
What are the effects of monetary policy on exchange rates? And have unconventional monetarypolicies changed the way monetary policy is transmitted to international financial markets?According to conventional wisdom, expansionary monetary policy shocks in a country lead tothat country's currency depreciation. We revisit the conventional wisdom during bothconventional and unconventional monetary policy periods in the US by using a novelidentification procedure that defines monetary policy shocks as changes in the whole yield curvedue to unanticipated monetary policy moves and allows monetary policy shocks to differdepending on how they affect agents' expectations about the future path of interest rates as well astheir perceived effects on the riskiness/uncertainty in the economy. Our empirical results showthat: (i) a monetary policy easing leads to a depreciation of the country's spot nominal exchangerate in both conventional and unconventional periods; (ii) however, there is substantialheterogeneity in monetary policy shocks over time and their effects depend on the way they affectagents' expectations;(iii) we find favorable evidence to Dornbusch's (1976) overshootinghypothesis.
货币政策对汇率有什么影响？非常规货币政策是否改变了货币政策向国际金融市场的传导方式？按照传统观点，一国的扩张性货币政策冲击会导致该国的货币贬值。我们通过使用新颖的识别程序，重新定义了美国常规货币政策和非常规货币政策期间的传统观点，该程序将货币政策冲击定义为由于意外的货币政策变动导致的整体收益率曲线变化，并允许货币政策冲击根据不同方式而有所不同它们影响代理商对未来利率之路的期望，以及它们对经济风险/不确定性的感知影响。我们的经验结果表明：（i）货币政策放松导致该国在常规和非常规时期的即期名义汇率贬值；（ii）但是，随着时间的流逝，货币政策冲击存在很大的异质性，其影响取决于它们影响代理商期望的方式；（iii）我们找到了Dornbusch（1976）的超调假设的有利证据。
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